Objectives To examine whether it is more efficacious to commence exercise medicine in men with prostate cancer at the onset of androgen-deprivation therapy (ADT) rather than later on during treatment to preserve bone and soft-tissue composition, as ADT results in adverse effects including: reduced bone mineral density (BMD), loss of muscle mass, and increased fat mass (FM). Patients and methods In all, 104 patients with prostate cancer, aged 48-84 years initiating ADT, were randomised to immediate exercise (IMEX, n = 54) or delayed exercise (DEL, n = 50) conditions. The former consisted of 6 months of supervised resistance/aerobic/impact exercise and the latter comprised 6 months of usual care followed by 6 months of the identical exercise programme. Regional and whole body BMD, lean mass (LM), whole body FM and trunk FM, and appendicular skeletal muscle (ASM) were assessed by dual X-ray absorptiometry, and muscle density by peripheral quantitative computed tomography at baseline, and at 6 and 12 months. Results There was a significant time effect (P < 0.001) for whole body, spine and hip BMD with a progressive loss in the IMEX and DEL groups, although lumbar spine BMD was largely preserved in the IMEX group at 6 months compared with the DEL group (-0.4% vs -1.6%). LM, ASM, and muscle density were preserved in the IMEX group at 6 months, declined in the DEL group at 6 months (-1.4% to -2.5%) and then recovered at 12 months after training. FM and trunk FM increased (P < 0.001) over the 12-month period in the IMEX (7.8% and 4.5%, respectively) and DEL groups (6.5% and 4.3%, respectively). Conclusions Commencing exercise at the onset of ADT preserves lumbar spine BMD, muscle mass, and muscle density. To avoid treatment-related adverse musculoskeletal effects, exercise medicine should be prescribed and commenced at the onset of ADT.